Cat jingle balls are fine, as long as you are sure the little jingly part can't escape the holes. Budgies are probably too small to break the plastic, but if they could manage to get the jingly part out of the ball then it would be trouble because they are usually made with toxic stuff including lead.
Birdsnways is a good site but do be careful. I have read the entire site and MANY MANY MANY of their toy tutorials are quite out-of-date and dangerous (this is understandable because the site has been around for a looooong time). For example, many of the toys are made with wire coat hangers, which are extremely toxic to birds.
Don't let that turn you off of the site, just be cautious and use common sense before giving a toy to your bird. And remember that metal is not the only toxic thing you can give a bird.
Birdsafe.com is a great site to read about hazards to birds!!! Take the time and read the site.
You can get tons of stuff to make toys at the dollar store or walmart. HOWEVER it is a risk because nearly everything comes from China and much of the plastic doo-hickeys you find in those shops could contain lead. Not saying they do, I'm saying they COULD, and for a budgie it only takes the teeny-tiniest amount of heavy metal to poison the bird. Even the WOOD from China (grapevines, wreathes, baskets, etc) has likely been sprayed with pesticides and chemicals so that the boats don't get infested.
To be honest, at the end of the day it's up to you and how much of a risk you want to take on your bird. Me, I'm cautious but not overly paranoid. I know there is no possible way to avoid ALL risks in life
The best resource I've found for toy ideas is Ebay (lots of little indie businesses selling their handmade toys) and bird message boards. I don't know if I should post a bunch of bird message boards here, that might be tacky to link to other boards, I dunno. But I will PM you a list if you want it. Most bird message boards have subforums for toy discussion and DIY.
I've only owned bigger parrots so I don't have any specific ideas for such a small bird. I have read some great ideas on those boards, though.
I hope you don't take this as a lecture, I'm only trying to help.
One thing that small birds (and cats!) love is plastic drinking straws put through a pencil sharpener. It makes the straw into a curly, springy spiral. Some birds just like plain straight straws, and they will spend their time weaving the straw through the bars of the cage. Or you could stuff a straw with tiny treats like sunflower seeds or bits of millet finely chopped veggies, and watch the bird squeeze and shake trying to get the treats out.
I have a few more ideas for little birds...